Building the Innovative Silk Road is a crucial way to promote the high-quality development of "the Belt and Road" Initiative. In the context of the fourth industrial revolution, "the Belt and Road" Initiative provides a broad platform for enterprises to "go global" and "bring in". It is significant for enterprises to seize opportunities for digital, networked, and intelligent development and explore new technologies, new forms of business, and new models. This paper uses 3665 Shanghai and Shenzhen listed companies from 2007-2017 as the research sample and uses the propensity score matching method, difference in difference method, and policy evaluation mediating effect model. From the perspective of outward foreign direct investment, this paper evaluates the impact of "the Belt and Road" Initiative on the innovation of Chinese enterprises and further reveals the mediating effect of outward foreign direct investment. Mechanism analysis shows that "the Belt and Road" Initiative provides an interconnected transportation infrastructure, a good policy environment, and an adequate financial support system for Chinese enterprises' outward foreign direct investment. Enterprises mainly implement greenfield investment and cross-border mergers and acquisitions, and improve their innovation level through economies of scale, pressure innovation, reverse technology spillover effect, comparative technology advantage, and production cooperation network. The empirical analysis results are as follows. First, "the Belt and Road" Initiative has improved the innovation level of enterprises, and its policy effect is continuous. Second, government subsidies, net profit, and market value all significantly positively affect enterprise innovation. Government subsidies reduce the risks of innovation and R&D investment costs, and enterprises with strong profitability and high market value can generally resist technological innovation risks. Third, compared with small enterprises, private enterprises, and foreign-funded enterprises, large and medium-sized enterprises and state-owned enterprises are better able to improve innovation through "the Belt and Road" Initiative. Fourth, enterprises' outward foreign direct investment plays a significantly positive mediating effect in promoting innovation, and the mediating effect of large and medium-sized enterprises and state-owned enterprises' outward foreign direct investment is more substantial. In addition, the results of robustness tests based on substitution variables and parallel trend test prove the credibility of the conclusions of this paper. Finally, this paper puts forward the following policy suggestions. First, from the aspects of technological innovation subject, innovation investment, transformation of technological achievements, and government management, the government should play a guiding role and gradually establish a long-term mechanism for technological finance, transformation of technological achievement and talent introduction. Second, we should strengthen the flow of innovation elements and the optimal allocation of innovation resources, and promote technological cooperation and sharing of innovation achievements with countries along "the Belt and Road". Third, we should deepen international production capacity cooperation and promote the industry to move towards the middle and high end of the global value chain, to realize industrial transformation and upgrading.